Future NetBasis Forecast Enhancement | Weekly Release 8/20/21


Added function to calculate the repo based on the SOFR Curve for USD Bond futures


For traders looking to use the SOFR curve to imply the repo, rather than the GC repo, now have the option in the Future Net Basis Forecast. By clicking the “Imply Repo from SOFR” checkbox, the repo will be updated to use the SOFR rate of a spot started SOFR swap with a maturity date of the delivery date of the future. As seen in screenshot below.